Easiest way to transit between the two cities is via the regular train service. There are three train stations in Guangzhou where you can catch a train to Shenzhen. Two of them terminate at Louhu and the other terminates in Bao'an (near Futian). Note: when buying tickets you may need to show ID (passport), so make sure you take it. The train from GZ to SZ takes around 1hr 20mins from GZ east. You can take train from Guangzhou south Railway Station which takes 36min.
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